September and October have traditionally struck fear in the hearts of investors. At the tail end of the “sell in May and go away” strategy, September and October have a reputation for damaging portfolios. But is there any truth to this belief, or is it simply superstition?

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Here’s a look at what the hard data actually says, along with the role that psychology and seasonality might play on trading patterns.

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Historical returns show that investors might be right to be wary of September’s arrival. As reported by Reuters using data from CFRA, September has by far the worst average return of any month.

Since 1945, the S&P 500 has fallen by an average of 0.6% in September, making it one of only two months with an average negative return. The other is February, with an average negative return of 0.2%. This means that September, historically speaking, has provided returns three times as poor as the next-worst month.

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Although September is traditionally a weak month, October actually fares quite well. In fact, average monthly returns in October are 0.9%, topping the performance of February, May, June, August and September. So why do investors fear October? Because historically, the market’s biggest single-day swoons tend to hit in October.

In fact, according to data from the Hartford Funds, the evidence is quite overwhelming. Five of the biggest 10 single-day drops in history have occurred in October — and three of the others occurred during March 2020, as the COVID-19 pandemic panicked the markets. This means that outside of that extraordinary event, October was responsible for five of the biggest seven single-day drops in history, ranging from 6.87% to 20.47%. Those are pretty compelling statistics.

So what’s really behind all this disruption in September and October? Is it all just a glitch on the calendar? The reality is that there are some seasonal trends that can exacerbate weakness in September and October.

For starters, market traders tend to come back from their summer vacations in September, according to Summit Financial. When trading volume picks up, market movements can be more dramatic.

Traders often begin their tax-loss selling in September so their portfolios are correctly positioned moving into year-end. An increase in selling by portfolio managers can put a lot of pressure on the market.